Hi Abbie --
I wrote a paper, "Use of Fundamental Data in Active Investing", that
discusses some the issues that arise when using fundamental data.
You can download it for free from this site:
http://www.blueowlpress.com/activities.html
Thanks,
Howard
On Fri, Jun 18, 2010 at 1:44 AM, Paolo <pcavat...@gmail.com> wrote:
>
>
> Abbie,
>
> as far as I know yahoo doesn't provide historical fundamental data which
> you need for proper historical backtesting.
>
> Regarding the for cycle it looks fine.
>
>
> Paolo
>
> --- In amibroker@yahoogroups.com <amibroker%40yahoogroups.com>,
> "sendfreetest" <sendfreet...@...> wrote:
> >
> >
> > Thank you for getting back to me with some information on
> > how to tackle the Percentile Rank of P/S Ratio code.
> >
> > I was thinking of using Yahoo! historical data but
> > your comments make me think their data may not be
> > accurate enough? Any thoughts on good data?
> >
> > I will think over and try to implement your idea
> > about using PositionScore.
> >
> > What I was working on is a for a cycle to calculate
> > the percentile. (Most of the code I found in back
> > posts of this group. )
> >
> > Right now the code seems to work in an exploration.
> > I've pasted it below. (As I am new to coding it may
> > not be the prettiest.)
> >
> > I'll continue to work on the code to try to make it
> > useful for actually testing the idea.
> >
> > ---
> >
> > Var = C / GetFnData("SalesPerShare");
> >
> >
> > /* PERCENTILE RANK */
> > /* set watchlist , and indicator twice */
> >
> > //Adapted From Count tickers in watchlist function - Anthony Faragasso
> >
> > listNum=1; // DEFINE WATCHLIST
> >
> > function CountTickersInWatchList( Listnum )
> > {
> > // retrive comma-separated list of symbols in watch list
> > list = GetCategorySymbols( categoryWatchlist, listnum );
> > for( i = 0; ( sym = StrExtract( list, i ) ) != ""; i++ )
> > {
> > if( i == 0 ) i = 0;
> > else i = i ;
> > }
> > return i;
> > }
> > // Adapted from Ranking Ticker List - Nenapacwanfr
> > list = GetCategorySymbols( categoryWatchlist, listnum );
> > for( i = 0; ( sym = StrExtract( list, i ) ) != ""; i++ )
> > {
> > SetForeign(sym);
> > VarSet("MyInd"+i, (C / GetFnData("SalesPerShare"))); //INDICATOR - DEFINE
> > Rank =1;
> >
> > for( j = 0; ( item = StrExtract( list, j ) ) != ""; j++ )
> > {
> > SetForeign(item);
> > VarSet("ThisInd"+j, (C / GetFnData("SalesPerShare"))); //INDICATOR -
> DEFINE
> > Rank=Rank + IIf( VarGet("MyInd"+i) < VarGet("ThisInd"+j),1,0);
> > RestorePriceArrays();
> > }
> > VarSet("Rank"+i,Rank);
> > }
> > Count=0;
> > BreakLoop = False;
> > for( k = 0; NOT(BreakLoop) &&( ticker = StrExtract( list, k ) ) != "";
> k++ )
> > {
> > if(Name()==ticker)
> > Breakloop=True;
> > else
> > Count=Count+1;
> > }
> > Rank = VarGet("Rank"+ Count);
> > PercentRank = (1 - rank/CountTickersInWatchList(Listnum))*100;
> >
> > Filter = PercentRank > 17 AND PercentRank < 42;
> >
> > AddColumn(RANK,"Rank");
> > AddColumn(CountTickersInWatchList(Listnum),"Total");
> > AddColumn(Close,"Close");
> > AddColumn(PercentRank,"Percentile Rank");
> > AddColumn(C / GetFnData("SalesPerShare"), "P/S Ratio");
> >
> >
> > ---
> >
> > Thanks again for your help,
> >
> > Abbie
> >
> >
> > --- In amibroker@yahoogroups.com <amibroker%40yahoogroups.com>, "Paolo"
> <pcavatore@> wrote:
> > >
> > > First of all you need P/S data (or Sales per share and calculate the
> ratio) with enough historical range and clean data. A rare combination
> especially when talking about fundamentals.
> > >
> > > Secondly you can use Rotational backtesting with PositionScore being
> equal to the inverse of the P/S (the higher the better).
> > >
> > > Otherwise I would recommend using a for cycle calculating the
> percentile for each stock in your universe and use it to both rank your
> stocks for proper buy/sell rules and plot also the ranking as an indicator.
> Be careful 'cause for large number of stocks (>500) it tends to be very
> slow.
> > >
> > > I hope it helps,
> > >
> > > Paolo
> > >
> > > --- In amibroker@yahoogroups.com <amibroker%40yahoogroups.com>,
> "sendfreetest" <sendfreetest@> wrote:
> > > >
> > > > Hi,
> > > >
> > > > I really need coding assistance.
> > > >
> > > > I am attempting to code into AmiBroker Charles Kirkpatrick's
> > > > trading methodology for testing.
> > > >
> > > > Kirkpatrick creates a percentile rank of stocks' price-to-sales
> > > > ratio and uses it as a filter. He purchases only stocks
> > > > with a percentile rank between the 17th and 42nd level.
> > > >
> > > > When a stocks price-to-sales percentile rank goes above 67
> > > > he sells.
> > > >
> > > > With AmiBroker's PERCENTILE function it seems to evaluate
> > > > only one market's array to determine the percentile.
> > > >
> > > > Is their an AmiBroker funtion to evaluate say 100+
> > > > stocks P/S Ratio and give each a percentile rank.
> > > >
> > > > Thanks in advance for any help.
> > > >
> > > > Abbie
> > > >
> > >
> >
>
>
>
